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Model risk of risk models

58734210 / MERCANTILE BANCORPORATION INC


1990-07-14 to 1991-03-14
Non-overlapping, 99% VaR Non-overlapping, 99% ES 10-day overlapping, 99% VaR 10-day overlapping, 99% ES Non-overlapping, 97.5% VaR Non-overlapping, 97.5% ES 10-day overlapping, 97.5% VaR 10-day overlapping, 97.5% ES
obs 169.00 169.00 169.00 169.00 169.00 169.00 169.00 169.00
min 1.44 1.66 1.25 1.61 1.32 1.50 1.04 1.33
max 3.14 3.64 4.92 5.87 3.10 3.27 5.01 5.01
mean 1.69 1.99 2.35 2.95 1.58 1.77 2.09 2.47
st.dev. 0.28 0.33 0.92 1.18 0.29 0.29 0.82 0.97
Q5% 1.47 1.72 1.31 1.73 1.35 1.54 1.18 1.40
Q50% 1.57 1.84 2.10 2.54 1.47 1.64 1.80 2.15
Q95% 2.30 2.71 4.22 5.44 2.22 2.42 3.57 4.47


1998-08-14 to 1998-11-14
Non-overlapping, 99% VaR Non-overlapping, 99% ES 10-day overlapping, 99% VaR 10-day overlapping, 99% ES Non-overlapping, 97.5% VaR Non-overlapping, 97.5% ES 10-day overlapping, 97.5% VaR 10-day overlapping, 97.5% ES
obs 65.00 65.00 65.00 65.00 65.00 65.00 65.00 65.00
min 1.50 1.74 1.42 1.42 1.41 1.57 1.42 1.42
max 3.27 3.80 3.92 3.93 2.96 3.42 3.92 3.92
mean 2.18 2.52 2.31 2.35 1.98 2.27 2.29 2.32
st.dev. 0.50 0.58 0.63 0.68 0.44 0.52 0.62 0.64
Q5% 1.52 1.77 1.46 1.46 1.44 1.59 1.46 1.46
Q50% 2.07 2.41 2.31 2.36 1.87 2.16 2.35 2.32
Q95% 2.96 3.44 3.41 3.49 2.68 3.09 3.41 3.42


1974-01-01 to 2012-12-31
Non-overlapping, 99% VaR Non-overlapping, 99% ES 10-day overlapping, 99% VaR 10-day overlapping, 99% ES Non-overlapping, 97.5% VaR Non-overlapping, 97.5% ES 10-day overlapping, 97.5% VaR 10-day overlapping, 97.5% ES
obs 2775.00 2775.00 2766.00 2766.00 2775.00 2775.00 2766.00 2766.00
min 1.27 1.38 1.07 1.08 1.17 1.30 1.04 1.06
max 10.17 13.53 8.96 13.27 8.73 11.18 7.28 10.42
mean 1.81 2.13 2.25 2.52 1.65 1.89 2.15 2.30
st.dev. 0.57 0.80 0.84 1.18 0.48 0.64 0.72 0.91
Q5% 1.38 1.54 1.29 1.31 1.29 1.42 1.29 1.30
Q50% 1.66 1.90 2.08 2.20 1.54 1.71 2.02 2.11
Q95% 2.60 3.29 3.82 4.95 2.30 2.82 3.44 4.06